System and method for improved distribution of market information

ABSTRACT

A data distribution system and method are described herein to improve the distribution of market information to subscribing client devices. Market information updates are provided to subscribing devices over a communication link every time a change in the market occurs. If a bandwidth limitation is reached on the communication link, the preferred embodiments switch to a second mode of transmission such that the market information updates are provided only at predetermined intervals. The preferred embodiment monitors the bandwidth consumption to determine what mode of transmission to apply, and in response, it can dynamically change between modes of transmission. By dynamically adjusting the mode of transmission to comport with the current network bandwidth, the preferred embodiments may provide a network friendly, data intensive, and fast response market information feed.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a continuation of U.S. patent application Ser. No.13/013,798 filed on Jan. 25, 2011, entitled “System and Method forImproved Distribution of Market Information”, now U.S. Pat. No.8,001,038, issue Aug. 16, 2011, which is a continuation of U.S. patentapplication Ser. No. 12/893,324, filed on Sep. 29, 2010, entitled“System and Method for Improved Distribution of Market Information”, nowU.S. Pat. No. 7,904,379, issued Mar. 8, 2011, which is a continuation ofU.S. patent application Ser. No. 12/579,197, filed on Oct. 14, 2009,entitled “System and Method for Improved Distribution of MarketInformation”, now U.S. Pat. No. 7,831,506, issued Nov. 9, 2010, which isa continuation of U.S. patent application Ser. No. 10/675,449, filed onSep. 30, 2003, entitled “System and Method for Improved Distribution ofMarket Information”, now U.S. Pat. No. 7,624,063, issued Nov. 24, 2009,the contents of all of which are fully incorporated herein by reference.

FIELD OF INVENTION

The present invention is related to electronic exchanges and, moreparticularly, to improving the way electronic market information isdistributed to traders.

BACKGROUND

At one time, there were only open-outcry exchanges where traders, ormore specifically buyers and sellers, would come together to trade inperson. With the advent of electronic trading, traders may participateat their client devices from remote distances by communicating overphysical networks with electronic exchanges that automatically matchbids and offers.

In particular, subscribing traders are connected to an exchange'selectronic trading platform by way of a communication link and throughan application program interface to facilitate real-time electronicmessaging between themselves and the exchange. The electronic tradingplatform includes at least one electronic market, which is at the heartof the trading system and handles the matching of bids and offers placedby the subscribing traders for that market. The electronic messagingincludes market information that is distributed from the electronicmarket to the traders. Once the traders receive the market information,it may be displayed to them on their trading screens. Upon viewing theinformation, traders can take certain actions including the actions ofsending buy or sell orders to the electronic market, adjusting existingorders, deleting orders, or otherwise managing orders. Traders may alsouse software tools on their client devices to automate these andadditional actions.

Although the amount or type of market information published by anelectronic exchange often differs, there are some standard pieces ofinformation. For instance, market information usually includes theinside market, which is generally the current lowest sell price(sometimes referred to as the best ask) and the current highest buyprice (sometimes referred to as the best bid). Market information mayalso include market depth, which generally refers to quantitiesavailable in the market at the top buy price levels and quantitiesavailable in the market at the top sell price levels. Of course, thenumber of price levels or market depth provided to a trader usuallydepends on the electronic market. Electronic exchanges may limit thenumber of price levels or market depth offered because marketinformation can become bandwidth intensive. For instance, an electronicmarket might offer “5” levels of market depth, which includes thequantities available at the top “5” buy prices and the quantitiesavailable at the top “5” sell prices. In addition to providing orderbook information such as price and quantity information, electronicexchanges can offer other types of market information such as the openprice, settlement price, net change, volume, last traded price, the lasttraded quantity, and order fill information.

Electronic exchanges often struggle to balance the amount and timelinessof market information with the bandwidth limitations of physicalnetworks to deliver a network friendly, data intensive, fast responsemarket information feed. On one hand, a tremendous amount of marketinformation may be generated by an electronic market to adequatelycharacterize a given market, especially when changes in the order bookare happening at a rapid rate. Most often, traders want access to asmuch of this information as possible so that they can makebetter-informed trades. On the other hand, limitations on the amount ofmarket information passed to the traders are often inherent in thedesign of physical networks that connect traders to the electronicmarket.

Generally, to strike a balance, there are two models to how electronicmarkets deliver market information to client devices. In addition,slight variations of these two models are sometimes used.

The first model involves sending a snapshot update at a programmed timeinterval. A snapshot update is a message that contains marketinformation such as the inside market and market depth. An advantage ofthe first model is predictable network bandwidth requirements andnormally consistent network performance. A drawback of the first modelis that it generally gives a slow response to changing marketconditions.

The second model involves sending incremental updates every time theinside market or market depth changes in the order book. An advantage ofthe second model is that it gives rapid response to changing marketconditions as long as the network bandwidth is not surpassed. Inparticular, once the network bandwidth is surpassed, incremental priceupdates are generally queued in a first in, first out (FIFO) manner.Unfortunately, a deep queue (a queue with lots of lined-up incrementalupdates) may result in receiving old incremental updates at the clientbefore receiving new incremental updates.

Despite the attempts made by electronic exchanges to improve thedistribution of market information, the disadvantages of the two modelsarise out of their advantages. For example, according to the firstmodel, a predictable network bandwidth requirement results in a slowresponse time to changing market conditions. In another example,according to the second model, a fast response time to changing marketconditions results in an increased chance of a congested network.

Thus, a need exists for a data distribution system and method that isreadily adaptable to communicating market information in a more dynamicway.

BRIEF DESCRIPTION OF THE DRAWINGS

Many aspects of the present embodiments can be better understood withreference to the following drawings. The components in the drawings arenot necessarily to scale, emphasis instead being placed uponillustrating example embodiments of the preferred embodiments.

FIG. 1 is a block diagram that illustrates an example electronic tradingsystem that uses the preferred embodiments to distribute marketinformation in a dynamic manner;

FIG. 2 is a schematic of a preferred embodiment referred to as the MItransmitter for monitoring and adjusting how market information isdistributed to subscribing traders;

FIG. 3 is a flowchart that illustrates a preferred process implementedby the MI transmitter of FIG. 2 for monitoring and distributing marketinformation to subscribing traders; and

FIG. 4 is a schematic of an alternative embodiment for monitoring andadjusting how market information is distributed to subscribing traders.

DETAILED DESCRIPTION I. Overview

A data distribution system and method are described herein to improvethe distribution of market information to subscribing client devices.According to a preferred system, at startup, a first mode oftransmission may be used to distribute market information. Inparticular, market information updates are provided every time a changein the order book occurs, such as a change in the inside market or achange in the market depth. If the bandwidth limitation is reached, thepreferred system switches to a second mode of transmission. Namely, themarket information updates are provided only at predetermined intervals.The system preferably monitors the bandwidth consumption to determinewhat mode of transmission to apply, and in response, it can dynamicallychange between modes of transmission. Further, according to thepreferred system, aspects of each mode of transmission may bedynamically adjusted.

By dynamically changing or adjusting the mode of transmission to comportwith the current network bandwidth, the preferred embodiments mayprovide a network friendly, data intensive, and fast response marketinformation feed. Other systems, methods, features, and advantages ofthe present embodiments will be or become apparent to one with skill inthe art upon examination of the following drawings and description. Itis intended that all such additional systems, methods, features, andadvantages be included within the description, be within the scope ofthe present invention, and be protected by the accompanying claims.

II. Preferred System Architecture

FIG. 1 is a block diagram that illustrates an example electronic tradingsystem 100. The electronic trading system 100 includes one or moreelectronic exchanges 102, 104, 106 and one or more client devices 108,110, 112. Client devices 108, 110, and 112 might also subscribe to anews service 132. Intermediate devices such as gateways 114, 116, 118,routers (not shown), and other such types of network devices may be usedto connect network 120 to networks 122, 124, 126 so that client devices108, 110, 112 and exchanges 102, 104, 106 can communicate.

It should be understood that the present embodiments are not limited toany particular system configuration. For example, networks 122, 124, 126could represent the same network, network 120 could represent the samenetwork as networks 122, 124, 126, or client devices 108, 110, 112 couldconnect directly to gateways 114, 116, 118. In addition, the presentembodiments may be implemented with systems that have only oneelectronic exchange that lists one or more markets.

A. Electronic Exchange

Electronic exchanges 102, 104, 106 represent electronic tradingplatforms that preferably support electronic transactions of variouskinds of tradeable objects. Examples of electronic trading platformsinclude the London International Financial Futures and Options Exchange(LIFFE), the Chicago Board of Trade (CBOT), the New York Stock Exchange(NYSE), the Chicago Mercantile Exchange (CME), the Exchange ElectronicTrading (“Xetra,” a German stock exchange), and the European Exchange(“Eurex”). Electronic exchanges 102, 104, 106 might also refer to otherfacilities, which include basic to complex systems that automaticallymatch incoming orders.

Each of the electronic exchanges 102, 104, 106 may host one or moreelectronic markets. Traders may connect to the one or more electronicmarkets to trade tradable objects. As used herein, the term “tradableobjects,” refers simply to anything that can be traded with a quantityand/or price. It includes, but is not limited to, all types of tradableobjects such as financial products, which can include, for example,stocks, options, bonds, futures, currency, and warrants, as well asfunds, derivatives and collections of the foregoing, and all types ofcommodities, such as grains, energy, and metals. The tradable object maybe “real,” such as products that are listed by an exchange for trading,or “synthetic,” such as a combination of real products that is createdby the user. A tradable object could actually be a combination of othertradable object, such as a class of tradable objects.

An electronic market can implement any one of the numerous types oforder execution algorithms; sometimes the type of algorithm depends onthe tradable object being traded. The preferred embodiments can workwith any particular order execution algorithm. Some example orderexecution algorithms include price/time priority (also referred to asfirst-in-first-out or FIFO) and pro rata-style algorithms. The FIFOalgorithm, used for some markets listed with Eurex for example, attemptsto give priority to the first person to place an order. The pro rataalgorithm, used for some markets listed with LIFFE for example, splitsall (or most) orders for the same price at a particular point in time.However, it should be understood that the present invention is notlimited to any particular type of order execution algorithm. Benefitfrom the use of the present embodiments may be found apart from theorder execution or matching algorithm used.

It should also be known that an electronic market might include othersoftware and/or hardware components to perform other tasks beyondmatching. These software and/or hardware components may be local orremote to the physical location of an electronic exchange. In otherwords, the components can be operated at the electronic exchange or atlocations outside of the electronic exchange such as points of access.Points of access may include gateways or other fast computing devicesthat are nearby the electronic exchange and have access to other pointsof access near other electronic exchanges.

B. Gateway

Gateways 114, 116, 118 may be any computing device such as a mainframe,super minicomputer, minicomputer, workstation, or personal computer thatconnect network 120 to networks 122, 124, 126 so that market informationmay be successfully passed between client devices 108, 110, 112 andexchanges 102, 104, 106. Preferably, gateways 114, 116, 118 receivemarket information from exchanges 102, 104, 106 and convert it to a formcompatible with the protocols used by client devices 108, 110, 112 usingconversion techniques known in the art. Also, as known by those skilledin the art, gateways 114, 116, 118 may have one or more servers tosupport the data feeds, such as a price server for processing priceinformation, an order server for processing order information, and afill server for processing fill information. A trader at one of clientdevices 108, 110, 112 can preferably subscribe to price information,order information, and fill information for a particular electronicmarket hosted at exchanges 102, 104, 106. Preferably, gateways 114, 116,118 also receive transaction information, such as orders, order changes,queries, etc. from client devices 108, 110, 112 and forward thatinformation to corresponding exchanges 102, 104, 106.

C. Client Device

Client devices 108, 110, 112 may be computing devices that provide aninterface for traders to trade at one or more markets listed with one,some, or all of exchanges 102, 104, 106. Some examples of client devicesinclude a personal computer, laptop computer, hand-held computer, and soforth. Client devices 108, 110, 112, according to the preferredembodiments, include at least a processor and memory. The processor andmemory, which are both well-known computer components, are not shown inthe Figure for sake of clarity. Preferably, the processor has enoughprocessing power to handle and process the various types of marketinformation.

Memory may include computer readable medium. The term computer readablemedium, as used herein, refers to any medium that participates inproviding instructions to processor for execution. Such a medium maytake many forms, including but not limited to, non-volatile media,volatile media, and transmission media. Non-volatile media includes, forexample, optical or magnetic disks, such as storage device. Volatilemedia includes dynamic memory, such as main memory or RAM (random accessmemory). Common forms of computer-readable media include, for example, afloppy disk, a flexible disk, hard disk, magnetic tape, or any othermagnetic medium, a CD-ROM, any other optical medium, punch cards, papertape, any other physical medium with patterns of holes, a RAM, a PROM,and EPROM, a FLASH-EPROM, and any other memory chip or cartridge, or anyother medium from which a computer can read.

Referring to FIG. 1, client devices 108, 110, 112 receive marketinformation from one or more electronic markets hosted at any ofelectronic exchanges 102, 104, 106. Preferably, market information isdisplayed to the trader(s) on a visual output device or display device.A trader may also receive news to aid him in analyzing informationreceived from the exchange.

Upon viewing the market information or a portion thereof, a trader maywish to send orders to an exchange, cancel orders in a market, changeorders in a market, query an exchange, and so on. To do so, the tradermay input various commands or signals into the client device 104, forexample, by using one or more conventional means for inputtinginformation such as typing into a keyboard, inputting commands through amouse, or inputting commands or signals through some other input device.

Upon receiving one or more commands or signals, client devices 108, 110,112 preferably generate transaction information. In addition to or inplace of manual entry, a trader might use automated trading softwarethat automatically or semi-automatically generates transactioninformation. Of course, there are many different types of messagesand/or order types that can be submitted to an electronic exchange, allof which may be considered various types of transaction information.Once generated, for example, transaction information is sent from clientdevice 108 to host exchange 102 over network(s) 120 and 122.

D. Market Information Transmitter

FIG. 2 is a schematic of an example market information transmitter (“MItransmitter”) that implements the preferred embodiments. The MItransmitter 200 may be operated in software, hardware, or a combinationthereof. In the preferred embodiments, the MI transmitter 200 isimplemented in software that is stored in memory and is executed by asuitable instruction execution system. If implemented in hardware, as inan alternative embodiment, the MI transmitter 200 may be implementedwith any technology.

Preferably, the MI transmitter 200 is located at or near an electronicexchange so that it can dynamically adjust the mode of transmission tocomport with the current network bandwidth over the entire connectionbetween the information source (usually found at the electronicexchange) and the client device. However, the MI transmitter 200 may belocated anywhere in the electronic trading system. For example,referring to the electronic trading system 100 shown in FIG. 1, the MItransmitter 200 may be located at one of the electronic exchanges 102,104, 106. Alternatively, the MI transmitter 200 may be in connectionwith any one of networks 122, 124, 126, at any one of gateways 114, 116,118, or in connection with network 120.

In the preferred embodiments, the MI transmitter 200 includes abandwidth monitor 202 and a market information interface 204. Thebandwidth monitor 202 preferably monitors the bandwidth of communicationlink 206 outbound to the client device or some other computing devicesuch as a gateway. Communication link 206 is used for distributingmarket information to client devices, gateways, or other computingdevices. For example, referring to FIG. 1, communication link 206 mightbe defined as the connection from exchange 102 to gateway 114, oralternatively, communication link 206 might be defined as the connectionfrom exchange 102 to client 108. In the preferred embodiments, thebandwidth is the amount of data that can be sent through communicationlink 206. A greater bandwidth indicates the ability to transmit agreater amount of data over a given period. In response to the bandwidthmonitor 202, the market information interface 204 preferably determineswhat mode of transmission to apply, and may dynamically change betweenmodes of transmission. In addition, the market information interface 204can preferably adjust each mode of transmission to further customize thedistribution of market information.

The flowchart 300 of FIG. 3 shows the functionality and operation of theMI transmitter 200 shown in FIG. 2. In this regard, each block mayrepresent a module, segment, or portion of code, which includes one ormore executable instructions for implementing specific logical functionsor steps in the process. Alternate implementations are included withinthe scope of the preferred embodiment of the present invention in whichfunctions may be executed out of order from that shown or discussed,including substantially concurrently or in reverse order, depending onthe functionality involved, as would be understood by those of ordinaryskill in the art of the present invention.

At block 302 shown in FIG. 3, the current snapshot of the market orderbook is preferably provided at the start of the trading session (or atthe start of the trading day). For example, this information may be usedto initialize and fill the trader's trading display. As described above,electronic markets may often provide varying amounts of marketinformation to their subscribing clients. For example, an electronicmarket might provide X-levels of prices/depth on the sell side andY-levels of prices/depth on the buy side (where X and Y represent anygiven number or the same number). Then, the current snapshot provided atblock 302 would preferably include information regarding the X-levels ofprices/depth on the sell side and Y-levels of prices/depth on the buyside. The current snapshot might also provide other types of marketrelated information such as the open price, settlement price, netchange, volume, last traded price, the last traded quantity, and orderfill information.

Alternatively, the current snapshot of the market (given at block 302)may be requested by a client device at any time during the trading day.This may be of particular importance when a trader logs onto anelectronic market to trade at a time other than at the start of thetrading day, when a client device has missed messages, or when a clientdevice has fallen behind.

For sake of illustration, Table 1, shown below, provides an examplesnapshot with market information for an electronic market. For thisexample, assume that the electronic market is providing information onfour different orders on the buy side. In particular, there is a buyorder for 20 at 100 (item ID #1), a buy order for 50 at 100 (item ID#2), a buy order for 15 at 99 (item ID #3), and a buy order for 25 at 98(item ID #4). Of course, similar market information may be provided fororders on the sell side. It should also be noted that the presentembodiments are not limited to the example snapshot or its contents asthey are illustrated in Table 1. For example, using the preferredembodiments, a complete data feed that contains information on everyorder in the market's order book may be provided to traders on both thebuy side and/or the sell side.

TABLE 1 Snapshot of the Market Item Buy side ID # Price Qty 1 100 20 2100 50 3 99 15 4 98 25

At block 304 in FIG. 3, an update message is preferably provided when achange in the order book occurs. For example, assume that a new order tobuy 35 at 100 is now resting in the market's order book. Assume furtherthat the new order is given an item identification number of five (ItemID #5) by the electronic market. Then, an update message is preferablyprovided that instructs the client devices to “Insert Item ID #5 beforeItem ID #2.” Other types of update messages may also be sent such aschange and delete messages. For instance, an update message mightinstruct the client device to “Change Item ID #2 to Qty of 100.” Or, anupdate message might instruct the client device to “Delete Item ID #3.”To one skilled in the art, there are an endless number of possibilitiesin the way an update message may be configured and it should be notedthat any possible update message configuration or message protocols maybe used by the present system. One particular protocol which may be usedto provide market information is the Financial Information exchange(FIX) protocol, which is a messaging standard developed specifically forreal-time electronic exchange type transactions. FIX is a public-domainspecification owned and maintained by FIX Protocol, Ltd. Marketinformation may be provided in detail (such as done in the exampledirectly above) where information is given for specific orders, oralternatively, the preferred system may use market information that isaggregated where orders for like prices are aggregated together, forexample.

If multiple changes in the market's order book occur simultaneously,then the preferred system may be programmed to send multiple updatemessages (e.g., one update message for each change). In an alternativeembodiment, if multiple changes in the market occur simultaneously, thesystem could assemble all of the changes into a single update message.For example, if “Insert Item ID #5 before Item ID #2” and “Change ItemID #2 to Qty of 100” both occurred, a single update message may containthe information for both changes.

An advantage of sending update messages every time a change in themarket occurs is its responsiveness to changing market conditions. Ofcourse, it should be understood that certain market changes might bemore important than other market changes. Therefore, to save onadditional bandwidth consumption, it is envisioned that the preferredsystem may be programmed to always send update messages for particularitems of interest that are of great importance and to sometimes sendupdate messages for particular items of interest that are of lessimportance.

An alternative to sending update messages is to send complete snapshotswhen a change occurs in the market's order book. In other words, when achange occurs in the market's order book, the MI transmitter 200 may beprogrammed to provide information on all or most of the depth levelswhether they changed or not. This alternative embodiment may be usefulwhen multiple things have changed in the market at one instant.Therefore, instead of sending multiple update messages, just onesnapshot message may be sent (e.g., the information in Table 1 would besent instead of updates to one or more values such as shown in Tables 2and 3). However, this alternative may not be as desirable as thepreferred method using update messages because it might unnecessarilyuse network bandwidth to send information that hasn't changed from aprevious snapshot.

At block 306, the bandwidth monitor 202 preferably determines if theavailable bandwidth has been surpassed. In the preferred embodiments,the amount of bandwidth (e.g., measured in megabits per second) that thecommunication link 206 can handle is determined and is referred toherein as a bandwidth limit. The bandwidth limit may be determined bysoftware (and/or hardware) that calculates the communication linkbandwidth capacity, or alternatively, the bandwidth limit may bedetermined theoretically by a network administrator. For example, anelectronic exchange might use a T3 line to distribute market informationat 43 megabits per second. Then, according to this example, thebandwidth limit might be set at 43 megabits per second. In anotherexample, the bandwidth limit might be set at the lowest commondenominator if multiple lines of varying bandwidth are used. Preferably,the bandwidth monitor 202 compares the bandwidth used by the output(e.g., update messages) with the bandwidth limit and determines if theavailable bandwidth has been surpassed. If multiple communication linksare output of the MI transmitter 200, then the bandwidth monitor 202 maycompare the bandwidth used by the output with the smallest bandwidthlimit.

If the available bandwidth has not been surpassed, then the first modeof transmission may still be used. More specifically, update messagesfor every change in the order book may continue to be provided. Forexample, assume that the bandwidth limit is set to J megabits persecond. During which, the market is moving fast causing a large numberof updates to be created and put out onto communication link 206 equalto K megabits per second. If the bandwidth monitor 202 determines that Kmegabits per second is less than J megabits per second, then updatemessages may still be used to distribute market information. In otherwords, the bandwidth has not been surpassed.

If the available bandwidth has been surpassed, then a second mode oftransmission may be applied. Namely, update messages (or snapshots in analternative embodiment) are provided at a predetermined time intervalper block 308. Using the example set forth in the paragraph above, ifthe bandwidth monitor 202 determines that K megabits per second isgreater than J megabits per second, then the second mode of transmissionis preferably applied. In other words, update messages (or snapshots inan alternative embodiment) are provided at predetermined intervals.Preferably, the predetermined intervals can be any value so long as theintervals are far enough apart so as not to cause the bandwidth limit tobe exceeded. For example, one way to calculate the predeterminedintervals (with units in seconds) is to divide the number of megabits anupdate is equal to by the bandwidth limit (e.g., units are inbits/second). Then, according to this example, an interval would equal0.1 ms if the bandwidth limit was 1 megabits per second and an update is100 bits. However, this is just an example, and it should be understoodthat the present invention is not limited to how the predeterminedinterval is calculated.

In addition, aspects of each mode of transmission may be dynamicallyadjusted. For instance, the predetermined intervals may be dynamicallyadjusted to comport with changing bandwidth limits. For example, ifbandwidth utilization is low using the second mode of transmission (notethat even if bandwidth utilization is too high using the first mode oftransmission, it may be low when using the second mode of transmissionespecially if the intervals are spaced far apart), then the internalsmay be dynamically programmed to be shorter whereas if the bandwidthutilization is near its limit, then the intervals may be dynamicallyprogrammed to be longer.

In the preferred embodiments, a bandwidth limit was preferably used atblock 306 to determine if the network bandwidth has been surpassed. Thebandwidth limit may be set for every trader accessing the electronicmarket. For example, if there were fifty traders, then each trader maybe limited to the bandwidth limit regardless of his network connection.However, it is not necessary for an electronic market to be limited byone bandwidth limit. For example, if there were three gatewayconnections to the electronic market, then there could be up to threebandwidth limits, so that each gateway connection has a bandwidthtailored to it. To illustrate, referring to FIG. 1, assume that gateway114, 116, and 118 were all three connected to exchange 102. Then,separate bandwidth limits may be placed for each of the connections, ifnecessary. The examples provided above are given merely to illustratesome possible scenarios of using a bandwidth limit in accordance withthe preferred embodiments. However, those of skill in the art wouldrecognize upon reading the description herein that there are virtuallyendless possibilities on using and applying bandwidth limits in thepreferred embodiments.

In addition, bandwidth limits may be changed on the fly. For instance,the communication link bandwidth may be continuously monitored for eachindependent connection to tailor the data stream according to theindependent connection bandwidth. If the bandwidth limit changes, thepreferred system may compare the output stream to the new bandwidthlimit to determine if the network bandwidth is surpassed. There are manydifferent bandwidth monitoring techniques. For instance, there may be aseparate network packet monitor (not shown) that communicates to the MItransmitter 200. Alternatively, the MI transmitter 200 itself maymonitor outbound message size and rate.

III. Alternative Embodiment

FIG. 4 is a block diagram of another example MI transmitter 400, whichis similar to the MI transmitter 200 shown in FIG. 2. Similar to the MItransmitter 200, the MI transmitter 400 shown in FIG. 4 may be operatedin software, hardware, or a combination thereof. In the preferredembodiments, the MI transmitter 400 is implemented in software that isstored in a memory and that is executed by a suitable instructionexecution system. If implemented in hardware, as in an alternativeembodiment, the transmitter can be implemented with any technology.

MI transmitter 400 may be used at a gateway or some other electronicdevice that is located away from the market information source. For sakeof clarity in describing the MI transmitter 400, assume that it isimplemented at a gateway. Often times, the market information source islocated at the electronic market and market information is distributedfrom the electronic market to one or more gateways before beingdistributed to client devices. In this alternative embodiment, MItransmitter 400 may be implemented at one of the gateways to dynamicallyadjust the mode of transmission to comport with the current networkbandwidth between the gateway and the client devices.

The alternative MI transmitter 400 includes a bandwidth monitor 402, amarket information interface 404 (which are both similar to thebandwidth monitor 202 and the market information interface 204 in FIG.2), and a market information storage buffer 408. The market informationstorage buffer 408 may hold market information being sent from theinformation source (or electronic market) until the information isreleased out on the communication link 406 according to one of thepreferred modes of transmission described above. If more marketinformation is put into the storage buffer 408 than it can handle, andif programmed to do so, the MI transmitter 400 may assemble its ownmessages out of the market information in the storage buffer 408 toconvey the appropriate market information to the trader.

For example, if update messages were building up in the storage buffer408 because the outbound communication link has reached capacity, thenthe MI transmitter 400 could automatically consolidate marketinformation from multiple update messages into fewer update messages.So, for instance, update messages such as insert, change, and deletemessages may be modified and/or consolidated to reduce the amount ofinformation that is actually released out onto the communication link.To illustrate further, assume that three changes were made to Item ID #2(e.g., “Change Qty to 15,” “Change Qty to 25,” and “Change Qty to 10”)and all three changes were buffered at the storage buffer 408, when itcomes time to send again, the present system may determine to send onlythe third update message, namely “Change Qty to 10.”

IV. Conclusion

The MI transmitter may preferably be used in any electronic tradingenvironment to dynamically adjust the mode of transmission toaccommodate current network conditions. The MI transmitter may beimplemented at an exchange, at a gateway, or some other common point ofaccess to monitor the communication link between it and the clientdevice(s) and to determine what mode of transmission to apply. Then, themarket information is distributed to the client devices according to theparticular mode of transmission. The MI transmitter results in a networkfriendly, data intensive, and fast response market information feed tosubscribing traders.

In addition, using the MI transmitter, a complete data feed thatcontains information on every order in the market may be provided totraders. Using one of the two models that conventional electronicmarkets use to distribute market information, a complete data feed maynot be possible as it can become too bandwidth intensive. However, withthe preferred embodiments, the MI transmitter can dynamically change oradjust the mode of transmission to comport with the type of data feedsent (e.g., a complete data feed or a limited data feed) and the currentnetwork bandwidth.

It should be emphasized that the above-described embodiments of thepresent invention, particularly, any “preferred” or “alternative”embodiments, are merely possible examples of implementations set forthfor a clear understanding of the principles of the invention. Manyvariations and modifications may be made to the above-describedembodiment(s) of the invention without departing substantially from thespirit and principles of the invention. All such modifications andvariations are intended to be included herein within the scope of thisdisclosure and the present invention and protected by the followingclaims.

Moreover, the claims should not be read as limited to the describedorder or elements unless stated to that effect. Thus, all variationsthat come within the scope and spirit of the following claims andequivalents thereto are claimed as the invention.

1. A non-transitory computer readable medium having code stored thereinthat when executed by a processor causes the processor to carry out actscomprising: receiving bid orders for a tradeable object and ask ordersfor the tradeable object by a processor, where the bid orders and askorders are received via a communication link having a measurablebandwidth usage and being coupled with the processor, and where the bidorders and the ask orders are received according to a dynamicallyselected mode of communication, the dynamically selected mode ofcommunication being selected from a plurality of modes of communicationaccording to the measurable bandwidth usage for the communication link.2. The non-transitory computer readable medium of claim 1 where thedynamically selected mode of communication includes any of: sending newmarket information snapshots for the bid orders and the ask orders, andsending market update messages including data retrieved from a datastructure having consolidated market data corresponding to the tradeableobject.
 3. The non-transitory computer readable medium of claim 1 wherethe communication link comprises a network connection.
 4. Thenon-transitory computer readable medium of claim 2 where sending newmarket information snapshots is selected according to the measurablebandwidth usage being high and sending market update messages isselected according to the measurable bandwidth usage being low.
 5. Asystem for distributing of market information, comprising: an electronicprocessor configured to receive bid orders for a tradeable object andask orders for the tradeable object via a communication link having ameasurable bandwidth usage and being coupled with the electronicprocessor, where the bid orders and ask orders are received according toa dynamically selected mode of communication, the dynamically selectedmode of communication being selected from a plurality of modes ofcommunication according to the measurable bandwidth usage for thecommunication link.
 6. The system of claim 5 where the dynamicallyselected mode of communication includes any of: sending new marketinformation snapshots for the bid orders and the ask orders, and sendingmarket update messages including data retrieved from a data structurehaving consolidated market data corresponding to the tradeable object.7. The system of claim 5 where the communication link comprises anetwork connection.
 8. The system of claim 6 where sending the newmarket information snapshots is selected according to the measurablebandwidth usage being high and sending market update messages isselected according to the measurable bandwidth usage being low.
 9. Amethod for receiving market information, comprising: receiving bidorders for a tradeable object and ask orders for the tradeable objectvia an electronic processor, where the bid orders and ask orders arereceived via a communication link having a measurable bandwidth usageand being coupled with the electronic processor, and where the bidorders and the ask orders are received according to a dynamicallyselected mode of communication, the dynamically selected mode ofcommunication being selected from a plurality of modes of communicationaccording to the measurable bandwidth usage for the communication link.10. The method of claim 9 where the dynamically selected mode ofcommunication includes any of: sending new market information snapshotsfor the bid orders and the ask orders, and sending market updatemessages including data retrieved from a data structure havingconsolidated market data corresponding to the tradeable object.
 11. Themethod of claim 9 where the market information is received via thecommunication link.
 12. The method of claim 11 where the communicationlink comprises a network connection.
 13. The method of claim 10 wheresending new market information snapshots is selected according to thebandwidth usage being above a first bandwidth limit.
 14. The method ofclaim 13 where sending market update messages is selected according tothe bandwidth usage being below a second bandwidth limit.
 15. The methodof claim 14 where the first bandwidth limit is substantially the same asthe second bandwidth limit.
 16. The method of claim 14 where the firstbandwidth limit and the second bandwidth limit are dynamicallyadjustable.
 17. The method of claim 14 where the first bandwidth limitand the second bandwidth limit are manually determined.